My brother is turning 4 next month, he's 24 years younger than me. I rarely watch TV with him because he's living with our parents and I have my own place but I did catch him watching "Terminator 3" with my father once, the boy looked terrified!
Just recently he said to me he's scared of Santa , I guess I wait a few years until I show him any kind of superhero shows or movies.

I let my daughter watch some superhero stuff when she was that young (she likes the SUPERBOY TV series, SUPERGIRL movie, Clooney's BATMAN AND ROBIN, and Adam West's BATMAN series) so there is stuff out there for the young ones.

Yeah, any of the Terminator movies are too much for a kid that young.

A lot of kids around that age are spooked by Santa. When my daughter was four we couldn't get her close to anyone dressed like him (even though she was happy to see them)...now she runs up to Santa and gives them hugs.

Just start him out with the more kid friendly shows and he should do ok.